Computable Primal and Dual Bounds for Stochastic Control
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Cites work
- A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization
- Adaptive importance sampling for control and inference
- Controlled Markov processes and viscosity solutions
- Controller design and value function approximation for nonlinear dynamical systems
- Convex Duality and Nonlinear Optimal Control
- Convex Duality Approach to the Optimal Control of Diffusions
- Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
- Existence of Markov Controls and Characterization of Optimal Markov Controls
- Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
- GloptiPoly 3: moments, optimization and semidefinite programming
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- Linear programming approach to deterministic infinite horizon optimal control problems with discounting
- Linear Programming Formulation for Optimal Stopping Problems
- Mayer and optimal stopping stochastic control problems with discontinuous cost
- Modal occupation measures and LMI relaxations for nonlinear switched systems control
- Moments, positive polynomials and their applications
- Nonlinear Optimal Control via Occupation Measures and LMI-Relaxations
- Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
- Occupation measures for controlled Markov processes: Characterization and optimality
- On asymptotic information integral inequalities
- On the complexity of Putinar's Positivstellensatz
- On the LP formulation in measure spaces of optimal control problems for jump-diffusions
- On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
- On time-inhomogeneous controlled diffusion processes in domains
- On weak approximation of stochastic differential equations through hard bounds by mathematical programming
- Positive polynomials and sums of squares
- Real analysis
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
- Stochastic optimal control and linear programming approach
- Sums of squares, moment matrices and optimization over polynomials
- Weak Convergence of Probability Measures on the Function Space C\lbrack 0, \infty)
Cited in
(5)- Performance bounds for linear stochastic control
- Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model
- Duality and lower bounds in optimal stochastic control
- Risk-averse stochastic optimal control: an efficiently computable statistical upper bound
- Moment-SOS hierarchy and exit location of stochastic processes
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